Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0820 |
| Annualized Std Dev | 0.1423 |
| Annualized Sharpe (Rf=0%) | -0.5764 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2914.0000 |
| NAs | 1.0000 |
| Minimum | -0.0756 |
| Quartile 1 | -0.0055 |
| Median | -0.0007 |
| Arithmetic Mean | -0.0003 |
| Geometric Mean | -0.0003 |
| Quartile 3 | 0.0049 |
| Maximum | 0.0630 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0000 |
| Variance | 0.0001 |
| Stdev | 0.0090 |
| Skewness | -0.1097 |
| Kurtosis | 4.2462 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0063 |
| Gain Deviation | 0.0059 |
| Loss Deviation | 0.0060 |
| Downside Deviation (MAR=210%) | 0.0121 |
| Downside Deviation (Rf=0%) | 0.0065 |
| Downside Deviation (0%) | 0.0065 |
| Maximum Drawdown | 0.7119 |
| Historical VaR (95%) | -0.0137 |
| Historical ES (95%) | -0.0199 |
| Modified VaR (95%) | -0.0146 |
| Modified ES (95%) | -0.0231 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2010-01-12 | 2020-08-04 | NA | -0.7119 | 2817 | 2659 | NA |
| 2009-08-24 | 2009-10-01 | 2009-12-22 | -0.0694 | 85 | 28 | 57 |
| 2009-12-29 | 2010-01-05 | 2010-01-11 | -0.0159 | 9 | 5 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | NA | 0.3 | -1.2 | -1.5 | 1.1 | 0.5 | -0.8 |
| 2010 | 0.9 | 0 | 0.2 | -1.2 | -0.8 | -0.2 | -1.6 | 2.1 | 0.5 | 0.2 | 2.1 | -0.6 | 1.6 |
| 2011 | 0.4 | -0.3 | -0.4 | -0.3 | -1.4 | 0.2 | -1.1 | -2 | -2.5 | -3.4 | 0.3 | -0.3 | -10.2 |
| 2012 | 1.2 | 0.9 | 1.7 | 0.5 | -2.3 | 1.3 | 0.4 | -1.4 | -0.5 | 0.5 | 0.3 | 1.9 | 4.7 |
| 2013 | 1.3 | -0.5 | -0.8 | -1 | 0.4 | -0.2 | 1.7 | 0.2 | 0.3 | 1.1 | -0.2 | 0.5 | 2.9 |
| 2014 | -0.5 | -0.1 | 1 | -0.9 | 0.1 | 0.9 | -0.8 | -0.1 | -1.9 | 0.3 | 0.5 | -0.3 | -2 |
| 2015 | -1.7 | -0.8 | -1.4 | 1.4 | 1 | 1.4 | -0.8 | -0.7 | -0.4 | -0.6 | -1.3 | -0.5 | -4.3 |
| 2016 | 0 | 1.6 | -0.3 | -0.2 | -0.4 | -1.4 | 0.9 | 0 | 0.7 | -0.1 | 0.9 | -0.3 | 1.4 |
| 2017 | 0.6 | 1.6 | -0.3 | 0.8 | 0 | 0.3 | -0.8 | 0.8 | -0.2 | -0.4 | -1.3 | -0.1 | 0.8 |
| 2018 | 1.5 | -0.7 | -0.6 | 0.4 | 0.5 | 0.2 | 0.8 | 0.2 | 0.7 | 0 | -0.4 | -0.4 | 2.2 |
| 2019 | 0.7 | 0.9 | 1.4 | -0.4 | -1.1 | 0.2 | -2 | 0 | -0.4 | 0.3 | 0.3 | 0.9 | 0.8 |
| 2020 | -0.8 | -2.3 | -1.4 | -0.6 | 0.7 | 0.2 | 0.2 | -1.2 | -0.1 | 1 | 1.4 | 0.1 | -2.8 |
| 2021 | 0 | 1.6 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-08-20 49.2 SPY 101. 0.0103 -0.0057 0.0569 0.132 -0.208 -0.227 -0.0795 GLD 92.3 -2.80e-3 -0.0155
2 2009-08-21 50.2 SPY 103. 0.0196 0.0216 0.0544 0.157 -0.194 -0.209 -0.068 GLD 93.6 1.50e-2 0.007
3 2009-08-24 49.4 SPY 103. -0.0001 0.0473 0.05 0.128 -0.206 -0.209 -0.0657 GLD 92.3 -1.40e-2 0.008
4 2009-08-25 49.0 SPY 103. 0.0019 0.0411 0.0489 0.150 -0.188 -0.205 -0.0652 GLD 92.8 4.50e-3 0.0076
5 2009-08-26 48.8 SPY 103. 0.0001 0.0321 0.0539 0.135 -0.190 -0.204 -0.0714 GLD 92.8 3.00e-4 0.0028
6 2009-08-27 49.0 SPY 103. 0.0022 0.0239 0.0589 0.118 -0.196 -0.204 -0.0693 GLD 93.2 4.30e-3 0.01
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
